System and method for providing market updates in an electronic trading environment

ABSTRACT

A system and method are provided for modifying how market updates are provided in an electronic trading environment upon detecting one or more triggering events. One example method includes defining an event to be used to trigger modification of how market updates are provided to a client entity, receiving a market update from an electronic exchange, and, when the event is detected, modifying how the market update is provided to the client entity. As an example, the modification of how the market update is provided to the client entity may include providing less data in relation to market updates, and sending the market updates less frequently.

CROSS REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.14/048,010, filed Oct. 7, 2013, now U.S. Pat. No. 10,185,990, which is acontinuation of U.S. patent application Ser. No. 13/451,372, filed Apr.19, 2012, now U.S. Pat. No. 8,583,541, which is a continuation of U.S.patent application Ser. No. 13/109,633, filed May 17, 2011, now U.S.Pat. No. 8,301,546, which is a continuation of U.S. patent applicationSer. No. 12/977,020, filed Dec. 22, 2010, now U.S. Pat. No. 7,970,697,which is a continuation of U.S. patent application Ser. No. 12/830,790,filed Jul. 6, 2010, now U.S. Pat. No. 7,882,018, which is a continuationof U.S. patent application Ser. No. 11/415,450, filed May 1, 2006, nowU.S. Pat. No. 7,783,559, which is a continuation of U.S. patentapplication Ser. No. 11/023,685, filed Dec. 28, 2004, now U.S. Pat. No.7,783,558, the contents of each of which are fully incorporated byreference for all purposes.

TECHNICAL FIELD

The present invention is directed to electronic trading. Morespecifically, the present invention is directed to modifying marketinformation updates being sent to traders in an electronic tradingenvironment based on changing market conditions.

BACKGROUND

An exchange is a central marketplace with established rules andregulations where buyers and sellers, referred to as traders, meet totrade. Some exchanges, referred to as open outcry exchanges, operateusing a trading floor where buyers and sellers physically meet on thefloor to trade. Other exchanges, referred to as electronic exchanges,operate by an electronic or telecommunications network instead of atrading floor to facilitate trading in an efficient, versatile, andfunctional manner. Electronic exchanges have made it possible for anincreasing number of people to actively participate in a market at anygiven time. The increase in the number of potential market participantshas led to, among other things, a more competitive market and greaterliquidity.

With respect to electronic exchanges, traders may connect to anelectronic exchange trading platform by way of a communication linkthrough their user terminals. Once connected, traders may typicallychoose which tradeable objects they wish to trade. As used herein, theterm “tradeable object” refers to anything that can be traded with aquantity and/or price. It includes, but is not limited to, all types oftraded events, goods and/or financial products, which can include, forexample, stocks, options, bonds, futures, currency, and warrants, aswell as funds, derivatives and collections of the foregoing, and alltypes of commodities, such as grains, energy, and metals. The tradeableobject may be “real,” such as products that are listed by an exchangefor trading, or “synthetic,” such as a combination of real products thatis created by the user. A tradeable object could actually be acombination of other tradeable objects, such as a class of tradeableobjects.

An electronic exchange typically provides a matching process betweenbuying and selling traders. Some example exchanges are Eurex, LIFFE,CME, and CBOT. Client entities, such as computers being used by tradersto trade, are typically connected to an electronic exchange by way of acommunication link to facilitate electronic messaging between thetrading entities and the exchange. The messaging may include marketinformation that is distributed from the electronic exchange to traders,as well as orders, quotes, acknowledgements, fills, cancels, deletes,cancel and replace, and other well-known financial transaction messages.For example, once a trader at the client entity receives the marketinformation, it may be displayed to him on his trading screen. Uponviewing the market information, traders can take certain actionsincluding the actions of sending buy or sell orders to the electronicmarket, adjusting existing orders, deleting orders, or otherwisemanaging orders. Traders may also use software tools on their clientdevices to automate these and additional actions.

Although the amount or type of market information published by anelectronic exchange often differs, there are some standard pieces ofinformation. For instance, market information usually includes theinside market, which is generally the current lowest sell price (oftenreferred to as the best ask) and the current highest buy price (oftenreferred to as the best bid). Market information may also include marketdepth, which generally refers to quantities available in the market atthe price levels other than those corresponding to the inside market. Inaddition to providing order book information including price andquantity information, electronic exchanges can offer other types ofmarket data such as the open price, settlement price, net change,volume, last traded price, last traded quantity, and order fillinformation.

Generally, there are two models that are used by electronic exchanges todeliver market information to client terminals. The first model involvessending a snapshot update at a programmed time interval. A snapshotupdate is a message that contains market information such as the insidemarket and market depth. The first model has a few shortcomings. Mostimportantly, it may not always be very accurate from the trader's pointof view, since the trader may miss a lot of updates that occur inbetween the intervals of receiving the snapshot updates. The secondmodel involves sending incremental updates every time the inside marketor market depth changes in the market depth, thus, providing a rapidresponse to changing market conditions. However, when the networkbandwidth or client processing capabilities are surpassed, incrementalprice updates are generally queued in a first in, first out (FIFO)manner. Unfortunately, the second model can result in a deep queue (aqueue with lots of lined-up incremental updates), and the deep queue maycause a client entity to receive old incremental updates before the mostup to date data is received.

With the increasing usage of automated trading tools that automaticallysubmit orders for traders based on changing market conditions, and dueto a constantly increasing number of traders trading at the exchanges,the number of updates that are received from the exchange is constantlyincreasing. Therefore, it is important to develop more intelligent toolsthat can provide more up to date market updates.

BRIEF DESCRIPTION OF THE DRAWINGS

Example embodiments of the present invention are described herein withreference to the following drawings, in which:

FIG. 1 is a block diagram illustrating an example network configurationfor a communication system utilized to access one or more exchanges;

FIG. 2 is a block diagram illustrating an example embodiment of a systemfor processing and modifying market information updates; and

FIGS. 3A and 3B are a flow chart illustrating an example embodiment of amethod for processing and modifying market information updates.

DETAILED DESCRIPTION

I. Modified Market Updates Overview

The example embodiments are directed to, among other things, how marketupdates are provided in an electronic trading environment. One examplemethod includes defining an event, and using the event as a trigger tomodify how market updates are provided to a client entity. Morespecifically, the method includes receiving a market update from anelectronic exchange, and, upon detecting the event, modifying how themarket update is provided to the client entity. The event may includeany statically defined event, such as a time period, or a dynamic eventthat can be detected based on an increased output of market data, or yetsome other data. When an event is detected, the content of each marketupdate could be modified, such that fewer market depth levels could beprovided to one or more client entity. Also, a time interval betweensending two consecutive updates, often referred to as a price coalescingtime interval, could be increased or decreased upon detecting one ormore predefined events. Different embodiments will be described ingreater detail below.

While the example embodiments are described herein with reference toillustrative embodiments for particular applications, it should beunderstood that the example embodiments are not limited thereto. Othersystems, methods, and advantages of the present embodiments will be orbecome apparent to one with skill in the art upon examination of thefollowing drawings and description. It is intended that all suchadditional systems, methods, features, and advantages be within thescope of the present invention, and be protected by the accompanyingclaims.

II. Hardware and Software Overview

As will be appreciated by one of ordinary skill in the art, the exampleembodiments may be operated in an entirely software embodiment, in anentirely hardware embodiment, or in a combination thereof. However, forsake of illustration, the example embodiments are described in asoftware-based embodiment, which is executed on a computer device. Assuch, the example embodiments take the form of a computer programproduct that is stored on a computer readable storage medium and isexecuted by a suitable instruction system in the computer device. Anysuitable computer readable medium may be utilized including hard disks,CD-ROMs, optical storage devices, or magnetic storage devices, forexample.

In an electronic trading environment, when an authorized trader selectsa tradeable object, the trader may access market data related to theselected tradeable object(s). Referring to FIG. 1, an examplecommunication that might occur between an electronic exchange and aclient entity in accordance with the example embodiments is shown.During a trading session, market data 108, in the form of messages, maybe relayed from a host exchange 106 over communication links 116 and 112to a client entity generally indicated as 102. The client entity 102 maybe a single client terminal that is used by a single trader or multipleclient terminals corresponding to multiple traders associated with oneor more trading groups. As illustrated in FIG. 1, intermediate devices,such as gateway(s) 104, may be used to facilitate communications betweenthe client entity 102 and the host exchange 106. It should be understoodthat while FIG. 1 illustrates the client entity 102 communicating with asingle host exchange 106, in an alternative embodiment, the cliententity 102 could establish trading sessions to more than one hostexchange. Also, it should be understood that information beingcommunicated between the client entity 102 and the exchange 106 could becommunicated via a single communication path.

The market data 108 contains information that characterizes thetradeable object's, including, among other parameters, order relatedparameters, such as price and quantity, and the inside market, whichrepresents the lowest sell price (also referred to as the best or lowestask price), and the highest buy price (also referred to as the best orhighest bid price). In some electronic markets, market data may alsoinclude market depth, which generally refers to quantities available fortrading the tradeable object at certain buy price levels and quantitiesavailable for trading the tradeable object at certain sell price levels.

In addition to providing the tradeable object's order book information,electronic exchanges can offer different types of market informationsuch as total traded quantity for each price level, opening price, lasttraded price, last traded quantity, closing price, or order fillinformation. It should be understood that market information providedfrom an electronic exchange could include more or fewer items dependingon the type of tradeable object or the type of exchange. Also, it shouldbe understood that the messages provided in the market data 108 may varyin size depending on the content carried by them, and the software atthe receiving end may be programmed to understand the messages and toact out certain operations.

A trader may view the information provided from an exchange via one ormore specialized trading screens created by software running on theclient entity 102. Upon viewing the market information or a portionthereof, a trader may wish to take actions, such as send orders to anexchange, cancel orders at the exchange, or change order parameters, forexample. To do that, the trader may input various commands or signalsinto the client entity 102. Upon receiving one or more commands orsignals from the trader, the client entity 102 may generate messagesthat reflect the actions taken, generally shown at 110. It should beunderstood that different types of messages or order types can besubmitted to the host exchange 106, all of which may be consideredvarious types of transaction information. Once generated, user actionmessages 110 may be sent from the client entity 102 to the host exchangeover communication links 114 and 116.

The client entity 102 may use software that creates specializedinteractive trading screens on the client entity 102. The tradingscreens enable traders to enter and execute orders, obtain marketquotes, and monitor positions. The range and quality of featuresavailable to the trader on his or her screens varies according to thespecific software application being run. In addition to or in place ofthe interactive trading screens, the client entity 102 may run automatednon-interactive types of trading applications.

A commercially available trading application that allows a user to tradein systems like those shown in FIG. 1 and subsequent figures isX_TRADER® from Trading Technologies International, Inc. of Chicago, Ill.X_TRADER® also provides an electronic trading interface, referred to asMD Trader™, in which working orders and bid/ask quantities are displayedin association with a static price axis or scale. As mentioned above,the scope of the example embodiments described herein are not limited bythe type of terminal or device used, and are not limited to anyparticular type of trading application. Portions of the X_TRADER® andthe MD Trader™-style display are described in U.S. Pat. No. 6,772,132entitled “Click Based Trading With Intuitive Grid Display of MarketDepth,” filed on Jun. 9, 2000, U.S. patent application Ser. No.09/971,087, entitled “Click Based Trading With Intuitive Grid Display ofMarket Depth and Price Consolidation,” filed on Oct. 5, 2001, and U.S.patent application Ser. No. 10/125,894, entitled “Trading Tools forElectronic Trading,” filed on Apr. 19, 2002, the contents of each areincorporated herein by reference.

III. Example System Function and Operation

In one example embodiment, system and methods described hereinafter canbe used when an electronic exchange sends a large number of marketupdates. However, the example methods are not limited to fast marketconditions, and could be used in relation to different embodiments aswell. For example, the methods described herein could be beneficial whenused in relation to client entities with limited processing power.

The example system and methods can be used to modify the content of eachmarket update that is provided to a client entity. In one exampleembodiment, when a trader first logs in, a client entity may receive asnapshot of all market levels including prices and quantities. Forexample, an exchange may provide five levels of market depth in additionto the inside market. Afterwards, the client entity may receive anupdate for each price level at which a new quantity has been detected.In one example embodiment, upon detecting a triggering event, a fewermarket levels could be provided to a client entity. For example, a newmarket snapshot could be provided upon detecting the triggering event,and the new market snapshot could include fewer market levels (pricelevels and corresponding quantities) than the original market snapshot.Referring to the example above with the exchange providing five levelsof market depth, four or even fewer levels of market depth could beprovided when an event is detected. Then, when a new quantity isdetected in relation to one of the price levels provided in the newmarket snapshot, an update including a new quantity and itscorresponding price level can be provided to a client entity. In such anembodiment, fewer market updates will be provided to a client entity ascompared to an embodiment where market updates are provided for allprice levels. Using such an embodiment, since the processing time thatis used for generating the modified market updates at the gateway, aswell as the processing time at the client entity, is decreased, a traderat the client entity may receive more up to date market information.Different example embodiments will be described in greater detail below.

In addition to modifying the number of market levels that are providedto a client entity upon detecting a triggering event, different actionscould be taken as well. For example, a server at a gateway may stopproviding certain types of data upon detecting a triggering event. Thetypes of data may include any market related parameters that arecalculated at the server, including, but not limited to, any theoreticalvalues, implied prices and quantities, and many others. Differentembodiments are possible as well. For example, rather than completelystopping sending the additional parameters, the parameters could beprovided to a client entity at certain time intervals. Also, as will bedescribed in greater detail below, in addition to modifying the contentof market updates, the modified market updates could be provided to aclient entity more frequently, as compared to normal market conditions.

In another embodiment, an alert may be provided to a trader before anysteps of modifying how market data is provided to a client entity aretaken. In such an embodiment, a trader could be given an option ofeither receiving modified market data or continuing to receiveunmodified data and taking a risk of receiving delayed updates. Itshould be understood that any alerts could be used, and an alert couldbe visual, audio, or a combination thereof. Also, a selection inputcould be provided for a trader to either accept or reject thepossibility of receiving modified market updates.

FIG. 2 is an example system 200 illustrating a plurality of componentsthat can be used to process market data being provided by an electronicexchange according to the example embodiments. The system 200 includesthe client entity 102 communicating with the exchange 106 via a gateway202. The gateway 202 includes a number of servers to support data feedsand messages being sent from the client entity 102 to the exchange 106and vice versa. In the example embodiment, the gateway 202 includes aprice server 204 for processing price information, an order server 208for processing order information, a fill server 212 for processing fillinformation, and an order router 210 for making routing decisions, suchas decisions relating to which client entity should receive an orderupdate that is provided by the exchange 106. It should be understoodthat the servers illustrated in FIG. 2 may run on the same entity orcould be distributed among a number of entities. Also, the componentsand functionality described herein can be implemented at the exchange106, and the exchange 106 rather than a server could perform some or allactions described herein in relation to methods of how market updatesare provided to the client entity 102.

A trader at the client entity 102 can subscribe to price information,order information, and fill information for the exchange. Then, once theclient entity 102 has subscribed to the information, the gateway 202 maypublish the information to the client entity. When the price server 204receives market information from the exchange 104, it may process thereceived data before sending it to the client entity 102. Processing ofdata, among other actions, may include converting the data to a properformat being used at the client entity 102. Also, the price server 204may calculate additional values that are not directly provided by theexchange 106. For example, the price server 204 may determine impliedorder information and provide the implied order information with everyupdate being sent to the client entity 102. An implied order is made upof an implied price and its implied quantity. Implied prices andquantities are derived from direct orders in a combination of outrightmarkets and spreads/strategies. For example, orders in outright marketsmay imply orders (referred to as an “implied in” orders) into a spreadmarket, and orders in a spread market plus orders in an outright marketmay imply orders (referred to as an “implied out” orders) into anotheroutright market. However, different parameters could be calculated aswell, such as theoretical prices that could be determined based on anyuser-defined formulas, total traded quantity at a price, and manyothers.

As shown in FIG. 2, the price server 204 also includes a market updatemanager 206. The market update manager 206 may manage the content ofmarket updates that are provided to the client entity 102, as well asthe frequency of sending price updates to the client entity 102, oftenreferred to as price coalescing intervals. It should be understood thatmany different methods could be used to coalesce market data. In oneembodiment, the price server 204 could collect all changes for apredetermined time period and then send all collected data to the cliententity 102 at the end of the predefined time period. In anotherembodiment, the price server 204 could collect data and only send themost up to date market data to the client entity 102, so that, forexample, if two different quantities are detected during the predefinedtime period, the price server 204 would only send the latest quantity.

In one example embodiment, the market update manager 206 may allowconfiguration of multiple sets of update configurations to be used fordetermining how to provide market updates to the client entity 102. Eachupdate configuration may contain an update modification time period orevents to be used as triggers for modifying market updates. The updateconfiguration may also define the content of each market update to beprovided during each predefined time period, or during the occurrence ofan event, associated with the update configuration, and/or a pricecoalescing interval to be used at the price server 204 between sendingtwo consecutive updates.

In one embodiment, a trader may manually configure a plurality of timeperiods during which the market updates and/or price coalescingintervals are to be modified based on the rules in the updateconfigurations. For example, such time periods may be based onpredictable time periods during which a large number of updates istypically received from the exchange 106 due to announcements ofdifferent numbers, such as an unemployment number, or due to some otherevents that may trigger fast market conditions at an electronicexchange.

Alternatively, rather than using statically-defined time periods, themarket update manager 206 may be configured to monitor market conditionsand then dynamically provide market update modification triggers to theprice server 204 to modify market updates upon detecting one or morepredefined events. In such an embodiment, a trader may pre-configure anumber of events that can be used to generate the market updatemodification triggers. It should be understood that the events could bebased on any market related data, or some other non-market relatedtriggers. For example, the market update manager 206 can be configuredto monitor the rate at which the market updates are being received fromthe electronic exchange 106, and, if the rate exceeds a predefined rate,the market update manger 206 can generate a market update modificationtrigger and provide the trigger to the price server 204. The trigger maythen initiate the action of modifying the content of market updatesand/or the length of price coalescing interval between sending eachconsecutive modified market update to the client entity 102 during theoccurrence of the detected event. It should be understood that thecombination of statically defined time periods and dynamicallydetectable events could be used to trigger modification of how themarket updates are provided to the client entity 102.

It should be understood that many different methods could be used tomonitor the rate of receiving market updates at the price server 204.For example, a moving average or yet some other method could be used todetermine if the number of market updates detected for the current timeperiod exceeds the number of market updates that were received in thepreceding time period. Then, if the number exceeds some predefinedthreshold, the market update manager 206 may generate a market updatemodification trigger for the price server 204. Also, many differenttriggers could be defined, with each trigger corresponding to differentrates, and causing different changes to market updates. In such anembodiment, for example, as different triggers are activated based onthe progressively increasing rate of receiving market updates, differentchanges could be applied to the market updates.

Different market data modification rules and price coalescing intervalscould be configured for use in relation to each event that triggersmodifications of market updates. For example, the price server 204 canprovide fewer market depth levels upon detecting a high market updaterate as compared to the number of market depth levels to be provided inrelation to a low market update rate. In such an embodiment, when fewermarket depth levels are provided in the market updates, the price server204 can generate each update much quicker, and the price coalescing timeintervals between sending each update can be reduced so that the cliententity 102 can receive more frequent market updates. Similarly, when themarket update rate decreases, the price server 204 could then supplymore price levels in each market depth update, and a longer pricecoalescing interval could be used for sending the market updates to theclient entity 102.

As mentioned earlier, an update configuration could define the contentof each market update and a price coalescing interval to be used forsending the modified market updates to the client entity 102. Oneexample update configuration could include an event to be used as atrigger to modify a market update, a number of market depth levels to beprovided in relation to each update when the event is detected, and thelength of a price coalescing interval to be used for sending eachconsecutive modified market update during the occurrence of the event.It should be understood that a trader could define a global updateconfiguration to be applied to all tradeable object being traded by thetrader. Alternatively, each tradeable object could be associated with adifferent update configuration, so that, for example, one set of updateconfigurations could be applied to market updates being received for afirst tradeable object, and another set of update configurations couldbe applied to market updates corresponding to another tradeable object.

Table 1 shows example update configurations for three market updaterates.

TABLE 1 Number of Market update per second “x” depth levels Coalescinginterval (ms) 50 < x < 75 10 200  75 < x < 100 8 150     x > 100 4 100

According to the update configurations in Table 1, when the marketupdate manager 206 detects that the price server 204 receives between 50and 75 updates per second, the market update manager 206 can limit thenumber of depth levels to 10, and a price coalescing time interval canbe set to 200 milliseconds. Then, when the market update manager 206detects that the price server 204 receives between 75 and 100 marketupdates per second, the number of depth levels to be provided in eachmarket update can be limited to 8, and the price coalescing timeinterval can be set to 150 milliseconds, so that the client entity 102will receive more frequent updates having fewer market levels. Then,according to the last update configuration in Table 1, when the marketupdate manager 206 detects that the price server 204 receives more than100 market updates per second, the number of depth levels can be limitedto 4, and the price coalescing time interval can be decreased to 100milliseconds.

It should be understood that the update configurations illustrated inTable 1 are only examples, and different update configuration rulescould be defined as well. Also, the number of depth levels in eachupdate configuration could correspond to the total number of marketdepth levels including bids and asks. Alternatively, one number of depthlevels could be defined for market depth levels corresponding to bidsand another number of depth levels could be defined for market depthlevels corresponding to asks. In another embodiment, the updateconfiguration could include one or more percentages to be used todetermine the number of market depth levels in each update. For example,if an update configuration defines 20%, the market update manager 206can decrease the received number of market depth levels by 20%. The useof percentages could be especially beneficial if a trader defines a setof update configurations to be used in relation to multiple tradeableobjects being traded at more than one exchange, while each exchangeprovides a different number of market depth levels. In such anembodiment, the decrease in the market update levels that are providedin the modified updates may be determined by applying the predeterminedpercentage to the number of market depth levels being received in eachupdate, rather than defining a different number in relation to eachtradeable object.

In another embodiment, a static reduction value can be defined inrelation to each market update rate, so that regardless of how manymarket depth levels are provided by an exchange, the number of marketdepth levels can be reduced by the same pre-defined value. A potentialproblem may arise when relatively large static reduction values are usedin relation to the market updates being received from an exchange thatprovides a low number of market depth levels. In such an embodiment, theapplication of the static reduction values to the market depth levelsprovided by such an exchange could potentially result in no market depthlevels being provided to the client entity 102. To prevent such aproblem, a trader could define a minimum number of market depth levelsto be provided in each modified update from the price server 204. Forexample, the minimum number of market depth levels could be defined toinclude one market level, such as the inside market levels, i.e., marketlevels corresponding to the best bid and the best ask; however,different configurations are possible as well.

It should be understood that the update configurations described aboveare only examples, and different embodiments are possible as well. Inaddition to defining market parameters to be provided in relation to atradeable object for which a modified market update is to be provided,an update configuration could also include a number of rules that couldaffect other tradeable objects being traded by a trader. For example, anupdate configuration could include a rule according to which the marketupdate manager 204 could disable data feeds for specific tradeableobjects being rarely traded by a trader so that, during the occurrenceof one or more events specified in the update configuration, the traderwill not receive any update information for the specified tradeableobjects, thus, further reducing the processing time at the price server202.

Different embodiments are possible as well. For example, upon detectinga triggering event, the price server 202 could only send inside marketdata, and stop sending other parameters being calculated at the priceserver 202. Also, rather than entirely discontinuing sending marketinformation related to some market depth levels, the price server 202could provide a consolidated quantity value, including a sum ofavailable quantities at the market depth levels for which the priceserver 202 temporarily discontinued sending data.

FIGS. 3A and 3B are a flow diagram illustrating a method 300 forproviding market updates to a client entity according to one exampleembodiment. It should be understood that each block may represent amodule, segments, or portions of code, and may include one or moreexecutable instructions for implementing specific logical functions orsteps in the process. Alternate implementations are included within thescope of the example embodiment of the present invention in whichfunctions may be executed out of order from that shown or discussed,including substantially concurrently or in reverse order, depending onthe functionality involved, as would be understood by those reasonablyskilled in the art of the present invention. The flow diagram 300 willbe described in relation to the elements of the client terminal in FIG.2. However, it should be understood that more, fewer, or differentcomponents could also be used to execute the method 300.

Referring to FIG. 3A, at 302, the price server 204 receives a marketupdate to be sent to the client entity 102. In one example embodiment,the price server 204 receives the market update from the electronicexchange 106, and the market update includes market information for atleast one tradeable object being traded by a trader at the client entity102.

At step 304, the market update manager 206 determines if a market updatemodification event has been detected. The market update modificationevent can be user configurable and can take many different formats. Forexample, as defined in earlier paragraphs, the market updatemodification event could correspond to a static time period, or anydynamically determined event, such as the rate of market updates beingreceived at the price server 204 from the electronic exchange 106.However, different events, or the combination of events, could bedefined as well. If a combination of events are defined, preferably allevents have to be satisfied before modifying any market data beingprovided to the client entity 102.

According to one example embodiment, if a plurality of updatemodification events are defined, each market update modification eventcan be associated with one or more update configurations defining howeach market update is to be modified before it is sent to the cliententity 102 during the occurrence of the event. One example market updateconfiguration, as defined earlier, can include a number of market depthlevels to be provided in each market update during the occurrence of theevent.

The market update configuration could also define a price coalescinginterval to be used at the price server 204 to determine the frequencyof sending the modified market updates to the client entity 102. Also,as mentioned in earlier paragraphs, the market update configurationcould define which of the additional parameters that are calculated atthe price server 204 will be provided in each update when one or morepredefined events are detected. For example, the update configurationcould specify that no implied prices/quantities should be calculated orprovided in any market update when the event is triggered. However,different parameters could be specified as well.

Referring back to step 304, if the market update modification event isnot detected, at step 306, the price server 204 processes the marketupdate that has been received from the electronic exchange using astandard processing method, and the market update including anyadditional parameters that are computed at the price server 204 is sentto the client entity 102, as shown at step 306.

However, if the market update manager 206 detects the occurrence of oneor more market update modification events, the method 300 continues atstep 310 in FIG. 3B, as shown at 308. At step 310, the price server 204modifies how market updates are provided to the client entity 102. Forexample, the price server 204 could modify the content of market updatesthat are provided to the client entity 102 based on the preset updateconfiguration associated with the detected event(s). In addition tomodifying the content, the price server 204 could also modify how ofteneach market update is provided to the client entity 102. Also, if theupdate configuration defines a price coalescing interval, the priceserver 202 may use the predefined interval to determine the frequency ofsending the modified market updates to the client entity 102. Forexample, the price server 202 could determine when the last update wassent to the client entity 102 and then wait the predefined pricecoalescing time interval before sending the modified update to theclient entity 102. Then, at step 312, the price server 204 provides themodified market update to the client entity.

The above description of the example embodiments, alternativeembodiments, and specific examples, are given by way of illustration andshould not be viewed as limiting. Also, many changes and modificationswithin the scope of the present embodiments may be made withoutdeparting from the spirit thereof, and the present invention includessuch changes and modifications.

It will be apparent to those of ordinary skill in the art that methodsinvolved in the system and method for providing market updates to aclient entity may be embodied in a computer program product thatincludes one or more computer readable media. For example, a computerreadable medium can include a readable memory device, such as a harddrive device, a CD-ROM, a DVD-ROM, or a computer diskette, havingcomputer readable program code segments stored thereon. The computerreadable medium can also include a communications or transmissionmedium, such as, a bus or a communication link, either optical, wired orwireless having program code segments carried thereon as digital oranalog data signals.

The claims should not be read as limited to the described order orelements unless stated to that effect. Therefore, all embodiments thatcome within the scope and spirit of the following claims and equivalentsthereto are claimed as the invention.

The invention claimed is:
 1. A non-transitory computer readable mediumhaving stored therein instructions executable by a processor of agateway, including instructions executable to: receive by a price serverof the gateway a first market information message from an electronicexchange over a first network, wherein the first market informationmessage is related to a tradeable object being traded at the electronicexchange, wherein the first market information message includes firstmarket depth information for the tradeable object; generate by a marketupdate manager of the price server of the gateway a first market updatemessage, wherein the generated first market update message includes afirst set of market depth levels, wherein each market depth level in thefirst set is based on market depth information for the tradeable objectin the first market information message and includes a quantityavailable for trading the tradeable object at a corresponding pricelevel, wherein the first set includes a first number of market depthlevels; send by the price server of the gateway the generated firstmarket update message to a client entity over a second network;determine by the market update manager of the price server of thegateway a new rate market data is received over the first network fromthe electronic exchange conforms to a defined rate; determine by themarket update manager of the price server of the gateway, in response todetermining the new rate conforms to the defined rate, a new number ofmarket depth levels associated with the defined rate, wherein the newnumber of market depth levels is less than the first number of marketdepth levels; receive by the price server of the gateway a second marketinformation message from the electronic exchange over the first network,wherein the second market information message is related to thetradeable object, wherein the second market information message includessecond market depth information for the tradeable object; generate bythe market update manager of the price server of the gateway a secondmarket update message, wherein the generated second market updatemessage includes a second set of market depth levels, wherein eachmarket depth level in the second set is based on market depthinformation for the tradeable object in the second market informationmessage and includes a quantity available for trading the tradeableobject at a corresponding price level, wherein the second set includes asecond number of market depth levels, wherein the second number ofmarket depth levels is equal to the new number of market depth levels;and send by the price server of the gateway the second market updatemessage to the client entity over the second network.
 2. The computerreadable medium of claim 1, wherein determining the new rate market isbased on a moving average of the rate market data is received.
 3. Thecomputer readable medium of claim 1, wherein determining the new rate isbased on the rate market data is received exceeding a threshold.
 4. Thecomputer readable medium of claim 1, wherein determining the new rate isbased on the rate market data is received for a current time periodbeing different from the rate market data is received for a precedingtime period.
 5. The computer readable medium of claim 1, wherein thefirst set of market depth levels includes one of: (i) an equal number ofmarket depth levels for bids and asks and (ii) an unequal number ofmarket depth levels for bids and asks.
 6. The computer readable mediumof claim 1, wherein the second set of market depth levels includes oneof: (i) an equal number of market depth levels for bids and asks and(ii) an unequal number of market depth levels for bids and asks.
 7. Thecomputer readable medium of claim 1, wherein the new number of marketdepth levels is based on a percentage.
 8. The computer readable mediumof claim 1, wherein the new number of market depth levels is based on astatic value.
 9. The computer readable medium of claim 1, furtherincluding instructions executable to: receive by the market updatemanager of the price server of the gateway a plurality of defined rates,wherein the plurality of defined rates includes the defined rate,wherein each of the plurality of defined rates is associated with adifferent new number of market depth levels.
 10. The computer readablemedium of claim 1, wherein the gateway includes a plurality ofprocessing components positioned at one or more locations on a network.11. A system including: a gateway, wherein the gateway is configured toreceive by a price server of the gateway a first market informationmessage from an electronic exchange over a first network, wherein thefirst market information message is related to a tradeable object beingtraded at the electronic exchange, wherein the first market informationmessage includes first market depth information for the tradeableobject; wherein the gateway is configured to generate by a market updatemanager of the price server of the gateway a first market updatemessage, wherein the generated first market update message includes afirst set of market depth levels, wherein each market depth level in thefirst set is based on market depth information for the tradeable objectin the first market information message and includes a quantityavailable for trading the tradeable object at a corresponding pricelevel, wherein the first set includes a first number of market depthlevels; wherein the gateway is configured to send by the price server ofthe gateway the generated first market update message to a client entityover a second network; wherein the gateway is configured to determine bythe market update manager of the price server of the gateway a new ratemarket data is received over the first network from the electronicexchange conforms to a defined rate; wherein the gateway is configuredto determine by the market update manager of the price server of thegateway, in response to determining the new rate conforms to the definedrate, a new number of market depth levels associated with the definedrate, wherein the new number of market depth levels is less than thefirst number of market depth levels; wherein the gateway is configuredto receive by the price server of the gateway a second marketinformation message from the electronic exchange over the first network,wherein the second market information message is related to thetradeable object, wherein the second market information message includessecond market depth information for the tradeable object; wherein thegateway is configured to generate by the market update manager of theprice server of the gateway a second market update message, wherein thegenerated second market update message includes a second set of marketdepth levels, wherein each market depth level in the second set is basedon market depth information for the tradeable object in the secondmarket information message and includes a quantity available for tradingthe tradeable object at a corresponding price level, wherein the secondset includes a second number of market depth levels, wherein the secondnumber of market depth levels is equal to the new number of market depthlevels; and wherein the gateway is configured to send by the priceserver of the gateway the second market update message to the cliententity over the second network.
 12. The system of claim 11, whereindetermining the new rate market is based on a moving average of the ratemarket data is received.
 13. The system of claim 11, wherein determiningthe new rate is based on the rate market data is received exceeding athreshold.
 14. The system of claim 11, wherein determining the new rateis based on the rate market data is received for a current time periodbeing different from the rate market data is received for a precedingtime period.
 15. The system of claim 11, wherein the first set of marketdepth levels includes one of: (i) an equal number of market depth levelsfor bids and asks and (ii) an unequal number of market depth levels forbids and asks.
 16. The system of claim 11, wherein the second set ofmarket depth levels includes one of: (i) an equal number of market depthlevels for bids and asks and (ii) an unequal number of market depthlevels for bids and asks.
 17. The system of claim 11, wherein the newnumber of market depth levels is based on a percentage.
 18. The systemof claim 11, wherein the new number of market depth levels is based on astatic value.
 19. The system of claim 11, wherein the gateway isconfigured to receive by the market update manager of the price serverof the gateway a plurality of defined rates, wherein the plurality ofdefined rates includes the defined rate, wherein each of the pluralityof defined rates is associated with a different new number of marketdepth levels.
 20. The system of claim 11, wherein the gateway includes aplurality of processing components positioned at one or more locationson a network.